Nasdaq's Options Greeks & Vols provides unique analytical insights on the impacts of price movements increasing transparency and efficiency in quantifying and managing risk.
Options Greeks & Vols provides real-time option analytics including theoretical prices and implied volatilities throughout both the regular and extended hours trading sessions.
Nasdaq consumes real-time Level 1 market data for options and their underliers, driving continuous pricing and calibration from quotes and trades to power real-time solutions.
Data Points Include:
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Delta
Compares the rate of change between the underlying asset's price and the option instrument’s price
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Gamma
Provides the rate of change for an option instrument’s delta value based on a single point move in the underliers price
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Rho
Measures the price change for an option instrument relative to a change in the risk-free rate of interest
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Vega
Measures an option instrument’s change in price relative to a single point move in implied volatility of the underlying instrument
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Theta
Represents the rate of decline in the value of an option instrument over time as the expiration date approaches
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Implied Volatility
Provides the market forecast of expected movements in the underlying instrument over the duration of the option instrument’s life
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Theoretical Price
Provides an estimated price of an option instrument that can be used alongside market prices
Key Benefits
Full Coverage
Full OPRA instrument coverage
Real-Time
Streaming real-time options analytics, including Theoretical Prices and Implied Volatilities
Deeper Insights
Analytics used to improve price discovery, trading/execution, and risk management
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